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A panel bootstrap cointegration test

โœ Scribed by Joakim Westerlund; David L. Edgerton


Book ID
116421708
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
139 KB
Volume
97
Category
Article
ISSN
0165-1765

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A new poolability test for cointegrated
โœ Professor Joakim Westerlund; Wolfgang Hess ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 294 KB

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small sa